Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0296 |
| Annualized Std Dev | 0.3113 |
| Annualized Sharpe (Rf=0%) | 0.0952 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5520.0000 |
| NAs | 1.0000 |
| Minimum | -0.5148 |
| Quartile 1 | -0.0075 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0091 |
| Maximum | 0.1640 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0004 |
| Stdev | 0.0196 |
| Skewness | -4.1038 |
| Kurtosis | 96.7601 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0153 |
| Gain Deviation | 0.0122 |
| Loss Deviation | 0.0186 |
| Downside Deviation (MAR=210%) | 0.0192 |
| Downside Deviation (Rf=0%) | 0.0152 |
| Downside Deviation (0%) | 0.0152 |
| Maximum Drawdown | 0.9312 |
| Historical VaR (95%) | -0.0268 |
| Historical ES (95%) | -0.0469 |
| Modified VaR (95%) | -0.0103 |
| Modified ES (95%) | -0.0103 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-25 | 2009-03-09 | NA | -0.9312 | 3405 | 409 | NA |
| 2000-03-10 | 2001-09-21 | 2004-02-12 | -0.4482 | 957 | 382 | 575 |
| 1999-05-11 | 1999-10-18 | 1999-12-20 | -0.2786 | 156 | 112 | 44 |
| 2005-12-16 | 2006-06-14 | 2006-09-18 | -0.2665 | 189 | 123 | 66 |
| 2005-03-09 | 2005-04-18 | 2005-09-06 | -0.2507 | 126 | 28 | 98 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -2.4 | 1.1 | -0.9 | -0.8 | -2.7 | 3.3 | -1.7 | 0.9 | 0 | -1.8 | -0.8 | 1.4 | -4.5 |
| 2000 | 0.7 | 1.2 | 0 | 1.3 | 0.7 | 3.1 | 0 | 0 | 0 | 0 | -0.7 | -1.6 | 4.7 |
| 2001 | 2.1 | 0.5 | 0.1 | 0.6 | 0.4 | 0.8 | 0.9 | 2 | -0.6 | 0.7 | 1 | -1.1 | 7.6 |
| 2002 | 1.3 | -0.1 | 0.5 | 1 | 8.7 | 0.9 | -1.5 | -0.6 | -1.8 | -1.8 | 0.9 | -0.1 | 7.2 |
| 2003 | 1.9 | 0 | -1.1 | 0.1 | 0.1 | -0.3 | 0 | 0 | 0.3 | 1.5 | -0.2 | 1 | 3.4 |
| 2004 | -1.1 | 1.3 | -0.7 | -2.5 | -1.2 | -0.4 | -0.8 | -0.1 | 2.3 | 1.3 | 3.2 | 0.5 | 1.8 |
| 2005 | 0.4 | 0.8 | 0.8 | 0.4 | 0.2 | 0.3 | 1 | 2.6 | 1.3 | 0.9 | 1.2 | -0.5 | 9.8 |
| 2006 | 0.8 | 2.2 | -0.5 | 0.1 | 0.9 | 1.7 | -1.6 | 0.9 | 0 | 0.1 | 0.6 | -3.1 | 1.7 |
| 2007 | 1.1 | -5 | 1.3 | 2.6 | -0.3 | 0.3 | -5.5 | -0.3 | 0.2 | -1.7 | 0.9 | -1.5 | -8 |
| 2008 | 3.1 | -4 | 2.9 | 0.4 | 1.1 | -1 | -0.8 | -0.7 | 1.9 | 0.5 | -6.7 | -1.4 | -5 |
| 2009 | -0.4 | -0.5 | 2.8 | 3.2 | 2 | 0.9 | 0 | 1.2 | -2.4 | -3.9 | 3.5 | 0 | 6.4 |
| 2010 | 1.1 | 1.7 | 0.9 | -0.4 | -1 | -1.2 | 0.8 | 1.4 | 1 | 0.7 | 1.3 | 0.4 | 6.6 |
| 2011 | 2.5 | -0.9 | 1.1 | 0 | -1 | 0.5 | 2.5 | 0 | -1.9 | -2 | 0.1 | 2.3 | 3 |
| 2012 | 1.6 | 1.6 | 0.8 | 0.9 | -1.8 | 3.4 | -0.2 | 0.3 | 1.2 | 0 | 0.2 | 1.6 | 10.1 |
| 2013 | 0.4 | 0.3 | -1 | -0.3 | -0.4 | 0.7 | 1 | 0.1 | 1.7 | -0.3 | 1.5 | -1.4 | 2.6 |
| 2014 | -0.3 | 0.4 | 0.1 | 0.8 | -1.2 | 2.6 | -0.1 | 0.1 | -0.6 | -0.3 | -2.7 | -1.1 | -2.3 |
| 2015 | -2.2 | 0.7 | 1.3 | -0.2 | -0.2 | -0.3 | 1.4 | -1.2 | -0.7 | 1.3 | 1.3 | 0.6 | 1.8 |
| 2016 | 0.6 | 1.6 | -0.3 | 0.7 | 0 | 0.2 | 0 | 0.3 | -0.2 | -0.9 | -0.5 | -0.1 | 1.2 |
| 2017 | 0.2 | 2.2 | -0.2 | -0.2 | 1 | 0.7 | -0.2 | 0 | 0.3 | -0.6 | 0.6 | 1.6 | 5.6 |
| 2018 | 1.8 | 0.6 | 1.6 | -0.5 | 1.3 | 0.7 | 0.5 | 0.1 | 1.1 | 6.4 | 0.5 | 0.7 | 15.6 |
| 2019 | -1.5 | 0.6 | 0.6 | -0.6 | -5.5 | 0.5 | 0.5 | 0.6 | 1 | 0.3 | 0.2 | -0.7 | -4.1 |
| 2020 | -3.5 | -3.7 | -5.6 | -0.8 | 6.5 | 1.4 | -2.3 | 0.9 | 0 | 0 | 2.7 | -0.9 | -5.8 |
| 2021 | 2.4 | 1.5 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
